Previous studies have demonstrated an association between physical activity (PA) and depression in diverse population. The purpose of our study is to examine if PA within the recommended level over time is associated with major depressive episode (MDE) in patients with early stages of chronic kidney disease (CKD) in Mainland China. Patients with stages 2–5 CKD not receiving dialysis were enrolled from a nephrology outpatient clinic between May 2014 and February 2016. Based on the patterns of PA over time, all patients were divided into four groups: persistently active, from inactive to active, from active to inactive, and persistently inactive. An MDE was diagnosed by using the Diagnostic and Statistical Manual of Mental Disorders (Fourth Edition)-based the Mini International Neuropsychiatric Interview. Among 150 patients, 34 had a current MDE (22.7%) and 116 did not (77.3%). After multivariable adjustment, patients being persistently active had significantly lower odds of having an MDE (odds ratio 0.102, 95% confidence interval, 0.022–0.467,
p
= .003) compared with those who were persistently inactive. Additionally, patients with diabetes mellitus had significantly higher odds of having an MDE (odds ratio 4.287, 95% confidence interval, 1.473–12.483,
p
= .008) compared with those without diabetes mellitus. Our results suggest a protective effect of regular PA on MDE in patients with early stages of CKD in Mainland China.